Using the “Risk Combination” method to estimate the survival function in the presence of competing risks dependent:: A simulation study.
In this paper we compare different structures of dependence for the risks that compete in a trivariate competing risk model, using the C-Vines and D-Vines copula techniques, through statistical simulation. The vines can obtain multivariate flexibility and are able to capture all th...
| Main Authors: | , |
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| Format: | Online |
| Language: | spa |
| Published: |
Universidad Pedagógica y Tecnológica de Colombia
2018
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| Online Access: | https://revistas.uptc.edu.co/index.php/ciencia_en_desarrollo/article/view/7261 |
| _version_ | 1801706340449517568 |
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| author | Bru Cordero, Osnamir Elias Elorza, Mario César Jaramillo |
| author_facet | Bru Cordero, Osnamir Elias Elorza, Mario César Jaramillo |
| author_sort | Bru Cordero, Osnamir Elias |
| collection | OJS |
| description | In this paper we compare different structures of dependence for the risks that compete in a trivariate competing risk model, using the C-Vines and D-Vines copula techniques, through statistical simulation. The vines can obtain multivariate flexibility and are able to capture all the possible range of dependencies between the competing risks, which are of great interest in financial markets, social, genetic among others problems. Then, we estimated survival function for the minimum time, both for the independent case, through the Kaplan Meier estimator and for the dependent case, in which we will use the risk combination method, which is an extension of the copula graphic estimator. The C-DVines copulas work with a cascade of bivariate copulas, which can be selected independently and allow a wide range of possibilities for characterizing the dependence of competing risks, we study particular cases where two of the three risks have equal dependence and the remaining risk is independent to the previous ones. We also study the case where two risks are equally dependent and the other is highly dependent. In addition, a particular case where the three risks have different dependence is analyzed. In all the cases studied, the risk combination method is a good alternative to estimate the marginal distribution functions and the survival function when there is a dependence between the risks of a dependent competing risks model. |
| format | Online |
| id | oai:oai.revistas.uptc.edu.co:article-7261 |
| institution | Revista Ciencia en Desarrollo |
| language | spa |
| publishDate | 2018 |
| publisher | Universidad Pedagógica y Tecnológica de Colombia |
| record_format | ojs |
| spelling | oai:oai.revistas.uptc.edu.co:article-72612022-06-15T17:02:06Z Using the “Risk Combination” method to estimate the survival function in the presence of competing risks dependent:: A simulation study. Uso del Método “Combinación de Riesgos” para estimar la función de supervivencia en presencia de riesgos competitivos dependientes: Un estudio de simulación. Bru Cordero, Osnamir Elias Elorza, Mario César Jaramillo C-Vines D-Vines Combinación de Riesgos Cópula Gráfico C-Vines, D-Vines, Risk pooling method, Copula Graphic In this paper we compare different structures of dependence for the risks that compete in a trivariate competing risk model, using the C-Vines and D-Vines copula techniques, through statistical simulation. The vines can obtain multivariate flexibility and are able to capture all the possible range of dependencies between the competing risks, which are of great interest in financial markets, social, genetic among others problems. Then, we estimated survival function for the minimum time, both for the independent case, through the Kaplan Meier estimator and for the dependent case, in which we will use the risk combination method, which is an extension of the copula graphic estimator. The C-DVines copulas work with a cascade of bivariate copulas, which can be selected independently and allow a wide range of possibilities for characterizing the dependence of competing risks, we study particular cases where two of the three risks have equal dependence and the remaining risk is independent to the previous ones. We also study the case where two risks are equally dependent and the other is highly dependent. In addition, a particular case where the three risks have different dependence is analyzed. In all the cases studied, the risk combination method is a good alternative to estimate the marginal distribution functions and the survival function when there is a dependence between the risks of a dependent competing risks model. En este trabajo se comparan distintas estructuras de dependencia para los riegos que compiten en un mode- lo de riesgos competitivos dependientes trivariado, haciendo uso de las técnicas C-Vines y D-Vines cópulas, vía simulación estadística. Los Vines permiten obtener flexibilidad multivariada y son capaces de capturar todo el rango posible de dependencias entre los riegos competitivos, las cuales son de gran interés en los mercados financieros, problemas sociales, genéticos, entre otros. Seguidamente, se estima la función de sobrevivencia para el tiempo mínimo, tanto para el caso independiente, por medio del estimador Kaplan Meier, como para el caso dependiente, en el que usaremos el método de combinación de riesgos, el cual es una extensión del estimador cópula gráfico. Los C-D Vines cópulas, trabajan con una variedad de cópulas bivariadas, las cuales se pueden seleccionar de manera independiente y permiten tener una amplia gama de posibilidades para la caracterización de la dependencia de los riesgos que compiten, se estudian casos particulares donde dos de los tres riesgos tienen igual dependencia y el riesgo restante es independiente a los anteriores. También se estudia el caso donde dos riesgos presentan igual dependencia y el otro con de- pendencia alta. Además se analiza un caso particular donde los tres riesgos presentan distinta dependencia. En todos los casos estudiados, el método de combinación de riesgos es una buena alternativa para estimar las funciones de distribución marginal y la función de sobrevivencia cuando se tiene dependencia entre los riesgos de un modelo de riesgos competitivos dependientes. Universidad Pedagógica y Tecnológica de Colombia 2018-12-27 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://revistas.uptc.edu.co/index.php/ciencia_en_desarrollo/article/view/7261 10.19053/01217488.v10.n1.2019.7261 Ciencia En Desarrollo; Vol. 10 No. 1 (2019): Vol 10, Núm. 1 (2019): Enero - Junio; 67-77 Ciencia en Desarrollo; Vol. 10 Núm. 1 (2019): Vol 10, Núm. 1 (2019): Enero - Junio; 67-77 2462-7658 0121-7488 spa https://revistas.uptc.edu.co/index.php/ciencia_en_desarrollo/article/view/7261/8299 Derechos de autor 2018 CIENCIA EN DESARROLLO |
| spellingShingle | C-Vines D-Vines Combinación de Riesgos Cópula Gráfico C-Vines, D-Vines, Risk pooling method, Copula Graphic Bru Cordero, Osnamir Elias Elorza, Mario César Jaramillo Using the “Risk Combination” method to estimate the survival function in the presence of competing risks dependent:: A simulation study. |
| title | Using the “Risk Combination” method to estimate the survival function in the presence of competing risks dependent:: A simulation study. |
| title_alt | Uso del Método “Combinación de Riesgos” para estimar la función de supervivencia en presencia de riesgos competitivos dependientes: Un estudio de simulación. |
| title_full | Using the “Risk Combination” method to estimate the survival function in the presence of competing risks dependent:: A simulation study. |
| title_fullStr | Using the “Risk Combination” method to estimate the survival function in the presence of competing risks dependent:: A simulation study. |
| title_full_unstemmed | Using the “Risk Combination” method to estimate the survival function in the presence of competing risks dependent:: A simulation study. |
| title_short | Using the “Risk Combination” method to estimate the survival function in the presence of competing risks dependent:: A simulation study. |
| title_sort | using the risk combination method to estimate the survival function in the presence of competing risks dependent a simulation study |
| topic | C-Vines D-Vines Combinación de Riesgos Cópula Gráfico C-Vines, D-Vines, Risk pooling method, Copula Graphic |
| topic_facet | C-Vines D-Vines Combinación de Riesgos Cópula Gráfico C-Vines, D-Vines, Risk pooling method, Copula Graphic |
| url | https://revistas.uptc.edu.co/index.php/ciencia_en_desarrollo/article/view/7261 |
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